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  • Posted: Nov 8, 2016
    Deadline: Not specified
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    At EY, we are committed to building a better working world - with increased trust and confidence in business, sustainable growth, development of talent in all its forms, and greater collaboration. We want to build a better working world through our own actions and by engaging with like-minded organizations and individuals. This is our purpose - and why we e...
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    Quantitative Analyst

    Role Description

    The successful candidate will handle to handle IFRS 9 implementation projects for a bank in the following areas:

    • Validate the risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management under Basel
    • Identify adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) and ensure they comply with IFRS 9 requirements
    • Make adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) to ensure compliance with IFRS 9 requirements
    • Provide quantitative and technical support required in building IFRS 9 compliant impairment models and calculators for clients

    Qualifications

    • B.Sc. (2.1)/MBA in Mathematics or Actuarial Science

    Relevant working experience

    • 2 -3 years credit risk modeling experience covering risk parameters such as PD, LGD, EAD/CCF etc. in an Advanced IRB environment
    • Basel II/III capital requirement calculations under Advanced IRB approach
    • Banking/Insurance
    • IFRS 9 and IAS 39 knowledge/experience will be an added advantage.
    • Modeling savvy:
      • Using mathematical sense to model under different scenarios
      • Model validation etc.

    Method of Application

    Interested and qualified? Go to Ernst and Young on tas-ey.taleo.net to apply

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